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Lifetime investment and consumption with recursive preferences and small transaction costs

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Yaroslav Melnyk, Johannes Muhle-Karbe
2020

Résumé

We investigate the effects of small proportional transaction costs on lifetime consumption and portfolio choice. The extant literature has focused on agents with additive utilities. Here, we extend this analysis to the archetype of nonadditive preferences: the isoelastic recursive utilities proposed by Epstein and Zin.

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https://infoscience.epfl.ch/entities/publication/62375c08-c607-4b68-9534-cdbf1a54a26d

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